ITP OpenIR  > SCI期刊论文
Wang, L; Yan, Y1; Li, XT; Chen, XS
General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures
Source PublicationPLOS ONE
Language英语
KeywordCOMPLEX NETWORKS STOCK-MARKET DYNAMICS
AbstractPCA has been widely used in many fields to detect dominant principle components, but it ignores the information embedded in the remaining components. As a supplement to PCA, we propose the General Component Analysis (GCA). The inverse participation ratios (IPRs) are used to identify the global components (GCs) and localized components (LCs). The mean values of the IPRs derived from the shuffled data are taken as the natural threshold, which is exquisite and novel. In this paper, the Chinese corporate bond market is analyzed as an example. We propose a novel network method to divide time periods based on micro data, which performs better in capturing the time points when the market state switches. As a result, two periods have been obtained. There are two GCs in both periods, which are influenced by terms to maturity and ratings. Besides, there are 382 LCs in Period 1 and 166 LCs in Period 2. In the LC portfolios there are two interesting bond collections which are helpful to understand the thoughts of the investors. One is the supper AAA bond collection which is believed to have implicit governmental guarantees by the investors, and the other is the overcapacity industrial bond collection which is influenced by the supply-side reform led by the Chinese government. GCA is expected to be applied to other complex systems.
2018
ISSN1932-6203
Volume13Issue:7Pages:e0199500
Subject AreaScience & Technology - Other Topics
MOST Discipline CatalogueMultidisciplinary Sciences
DOI10.1371/journal.pone.0199500
Indexed BySCIE
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Cited Times:1[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.itp.ac.cn/handle/311006/22868
CollectionSCI期刊论文
Affiliation1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China
2.Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing, Peoples R China
3.Chinese Acad Sci, Inst Theoret Phys, Beijing, Peoples R China
Recommended Citation
GB/T 7714
Wang, L,Yan, Y,Li, XT,et al. General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures[J]. PLOS ONE,2018,13(7):e0199500.
APA Wang, L,Yan, Y,Li, XT,&Chen, XS.(2018).General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures.PLOS ONE,13(7),e0199500.
MLA Wang, L,et al."General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures".PLOS ONE 13.7(2018):e0199500.
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